Instrument Valuation Management

This paper illustrates how TimeScape Pricing Services can be used to provide a valuation infrastructure that applies the principles of consistent data management to the management of pricing models and analytics,  without sacrificing any of the “time to market” aspects of a front-office spreadsheet-based approach. The solution outlined reduces operational risk, reduces the need for “out of system” trades and increases transparency.

View complete Instrument Valuation Management white paper PDF. (This document requires the free Adobe/Acrobat Reader.) 17 pages, 1.5MB

Introduction

Instrument valuation is a popular topic at the moment in financial markets. Given its fundamental importance to investment, trading and risk management decisions this should come as no surprise to anyone. Certainly not the primary cause of the recent financial crisis, but the lack of trustworthy valuations of many complex securities was a significant contributory factor to the nervousness of the markets and the liquidity squeeze that ensued.

Additionally, whilst many have warned about the limitations of risk management techniques such as Value at Risk, many of the failings of risk management during the crisis can be traced back not to the risk model itself but rather to the valuations being used in the risk model. Post-crisis, the regulators have been quick to jump on valuation transparency and with this in mind the valuation of securities looks set to become even more challenging.

White paper contents

• Introduction to Instrument Valuation Management
• Key Issues to be Addressed
  • Transparency and Drill-Through
  • Quality and Comparability
  • Timeliness and a Matter of History
  • Data Model Flexibility and All Asset Coverage
  • The Gaps in Data Management
  • The Need for Analytics Management
• How TimeScape Pricing Services can help
  • Key Features
  • Key Benefits
• TimeScape Pricing Services Architecture
  • Model and Data Add-ins
  • Valuation Requests
• Summary
• Appendix 1 – Further Reading
• Appendix 2 – Existing Asset Class Coverage
• Appendix 3 – Business Architecture for TimeScape
• Appendix 4 – Logical Architecture for TimeScape
• About Xenomorph

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View complete Instrument Valuation Management white paper PDF. (This document requires the free Adobe/Acrobat Reader.) 17 pages, 1.5MB